NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Publications by Francis X. Diebold

Contact and additional information for this authorAll papers and publicationsWorking Papers onlyWorking Papers with publication info

Working Papers and Chapters

April 2013Improving GDP Measurement: A Measurement-Error Perspective
with S. Boraǧan Aruoba, Jeremy Nalewaik, Frank Schorfheide, Dongho Song: w18954
September 2012Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests
w18391
May 2012Financial Risk Measurement for Financial Risk Management
with Torben G. Andersen, Tim Bollerslev, Peter F. Christoffersen: w18084
A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities
with Fei Chen, Frank Schorfheide: w18078
October 2011On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms
with Kamil Yilmaz: w17490
September 2011Improving GDP Measurement: A Forecast Combination Perspective
with S. Boragan Aruoba, Jeremy Nalewaik, Frank Schorfheide, Dongho Song: w17421
October 2010On the Correlation Structure of Microstructure Noise: A Financial Economic Approach
with Georg Strasser: w16469
September 2010Globalization, the Business Cycle, and Macroeconomic Monitoring
with S. Borağan Aruoba, M. Ayhan Kose, Marco E. Terrones
in NBER International Seminar on Macroeconomics 2010, Richard Clarida and Francesco Giavazzi, organizers
August 2010Globalization, the Business Cycle, and Macroeconomic Monitoring
with S. Boragan Aruoba, M. Ayhan Kose, Marco E. Terrones: w16264
January 2010Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions
with S. Boragan Aruoba: w15657
November 2008An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model
with Jens H.E. Christensen, Glenn D. Rudebusch: w14463
September 2008Real-Time Measurement of Business Conditions
with S. Boragan Aruoba, Chiara Scotti: w14349
August 2008Macroeconomic Volatility and Stock Market Volatility, Worldwide
with Kamil Yilmaz: w14269
February 2008Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets
with Kamil Yilmaz: w13811
November 2007The Affine Arbitrage-Free Class of: Nelson-Siegel Term Structure Models
with Jens H. E. Christensen, Glenn D. Rudebusch: w13611
Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach
with Canlin Li, Vivian Z. Yue: w13588
January 2007Practical Volatility and Correlation Modeling for Financial Market Risk Management
with Torben G. Andersen, Tim Bollerslev, Peter Christoffersen
in The Risks of Financial Institutions, Mark Carey and René M. Stulz, editors
November 2005Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility
with Torben G. Andersen, Tim Bollerslev: w11775
Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence
with Sean D. Campbell: w11736
May 2005Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets
with Torben G. Andersen, Tim Bollerslev, Clara Vega: w11312
March 2005Volatility Forecasting
with Torben G. Andersen, Tim Bollerslev, Peter F. Christoffersen: w11188
February 2005A Framework for Exploring the Macroeconomic Determinants of Systematic Risk
with Torben G. Andersen, Tim Bollerslev, Jin (Ginger) Wu: w11134
January 2005Modeling Bond Yields in Finance and Macroeconomics
with Monika Piazzesi, Glenn Rudebusch: w11089
Practical Volatility and Correlation Modeling for Financial Market Risk Management
with Torben G. Andersen, Tim Bollerslev, Peter F. Christoffersen: w11069
July 2004The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach
with Glenn D. Rudebusch, S. Boragan Aruoba: w10616
April 2004The Nobel Memorial Prize for Robert F. Engle
w10423
December 2003Weather Forecasting for Weather Derivatives
with Sean D. Campbell: w10141
October 2003Forecasting the Term Structure of Government Bond Yields
with Canlin Li: w10048
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics
with Peter F. Christoffersen: w10009
May 2003A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations
with Michael W. Brandt: w9664
August 2002Parametric and Nonparametric Volatility Measurement
with Torben G. Andersen, Tim Bollerslev: t0279
May 2002Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
with Torben G. Andersen, Tim Bollerslev, Clara Vega: w8959
March 2001Modeling and Forecasting Realized Volatility
with Torben G. Andersen, Tim Bollerslev, Paul Labys: w8160
High- and Low-Frequency Exchange Rate Volatility Dynamics: Range-Based Estimation of Stochastic Volatility Models
with Sassan Alizadeh, Michael W. Brandt: w8162
November 2000Long Memory and Regime Switching
with Atsushi Inoue: t0264
October 2000The Distribution of Stock Return Volatility
with Torben G. Andersen, Tim Bollerslev, Heiko Ebens: w7933
January 2000Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian
with Torben G. Andersen, Tim Bollerslev, Paul Labys: w7488
February 1999Unit Root Tests Are Useful for Selecting Forecasting Models
with Lutz Kilian: w6928
The Distribution of Exchange Rate Volatility
with Torben Andersen, Tim Bollerslev, Paul Labys: w6961
December 1998How Relevant is Volatility Forecasting for Financial Risk Management?
with Peter F. Christoffersen: w6844
Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange
with Jinyong Hahn, Anthony S. Tay: w6845
November 1997The Past, Present, and Future of Macroeconomic Forecasting
w6290
October 1997Evaluating Density Forecasts
with Todd A. Gunther, Anthony S. Tay: t0215
Cointegration and Long-Horizon Forecasting
with Peter F. Christoffersen: t0217
Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters
with Anthony S. Tay, Kenneth F. Wallis: w6228
August 1997Measuring Predictability: Theory and Macroeconomic Applications
with Lutz Kilian: t0213
April 1996Exact Maximum Likelihood Estimation of Observation-Driven Econometric Models
with Til Schuermann: t0194
March 1996Forecast Evaluation and Combination
with Jose A. Lopez: t0192
Deterministic vs. Stochastic Trend in U.S. GNP, Yet Again
with Abdelhak S. Senhadji: w5481
Bounded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers
with Antulio N. Bomfim: w5482
February 1995Measuring Volatility Dynamics
with Jose A. Lopez: t0173
Dynamic Equilibrium Economies: A Framework for Comparing Models and Data
with Lee E. Ohanian, Jeremy Berkowitz: t0174
November 1994Comparing Predictive Accuracy
with Robert S. Mariano: t0169
October 1994Optimal Prediction Under Asymmetric Loss
with Peter F. Christoffersen: t0167
September 1994Job Stability in the United States
with David Neumark, Daniel Polsky: w4859
February 1994Measuring Business Cycles: A Modern Perspective
with Glenn D. Rudebusch: w4643
January 1993Further Evidence on Business-Cycle Duration Dependence
with Glenn Rudebusch, Daniel Sichel
in Business Cycles, Indicators and Forecasting, James H. Stock and Mark W. Watson, editors

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